Mesh of a single twist Yarn in Blender
Create a 12 vertices circle.





Enable the Snap option (Vertex mode), or just press ctrl when you'll need it, enable the Auto-Merge option.





Duplicate your circle, with Snap and Auto-Merge it will snap and merge the vertices. Delete the inner vertices, bevel the 3 central vertices with a shiftctrlB.





Extrude up, create horizontal edge loops with ctrlR. To make sure you don't have flipped normals, press shiftctrlN. Back in Object mode, move the origin to the geometry.





Give your object a Simple Deform modifier, Angle 120°, Axis Z.





Give it an Array modifier, enable the Merge and First Last options. 





Give it a Subdivision Surface modifier, and also smooth it: Object > Shade Smooth. 





To make it follow a curve, give it a Curve modifier. Make sure that the curve's origin is at its beginning, put the object at the same point.